To elaborate on @Hal_Al 's answer: if your move to MA is temporary in nature, and your main home (your domicile in tax terminology) is still in AZ, then ALL your income is taxable by AZ. In that case, it would also be taxable by MA IF 1) you spent 183 days or more in MA; or 2) you physically worked in MA. In this scenario, if you had MA-taxable income, you would file a non-resident MA tax return and a full-year resident AZ tax return.
But, as @Hal_Al explained, if your move to MA was permanent (you abandoned your AZ domicile), then for tax purposes you became a resident of MA on the day you began living in MA. Any income you had from that day forward would be taxable by MA. In this scenario, you would file part-year resident returns for both AZ and MA. The 183-day rule does not apply to permanent moves.
NH does not tax W-2 income.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
